On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes
Probability
2012-12-13 v1 Statistics Theory
Statistics Theory
Abstract
We investigate the asymptotic behavior of the maximum likelihood estimators of the unknown parameters of positive recurrent Ornstein-Uhlenbeck processes driven by Ornstein-Uhlenbeck processes.
Keywords
Cite
@article{arxiv.1212.2800,
title = {On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes},
author = {Bernard Bercu and Frederic Proia and Nicolas Savy},
journal= {arXiv preprint arXiv:1212.2800},
year = {2012}
}